| Close | |
|---|---|
| Annualized Return | 0.0499 |
| Annualized Std Dev | 0.1914 |
| Annualized Sharpe (Rf=0%) | 0.2608 |
| Close | |
|---|---|
| Observations | 3863.0000 |
| NAs | 1.0000 |
| Minimum | -0.1139 |
| Quartile 1 | -0.0050 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0062 |
| Maximum | 0.1316 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0121 |
| Skewness | 0.0263 |
| Kurtosis | 16.5155 |
| Close | |
|---|---|
| Semi Deviation | 0.0088 |
| Gain Deviation | 0.0085 |
| Loss Deviation | 0.0096 |
| Downside Deviation (MAR=210%) | 0.0134 |
| Downside Deviation (Rf=0%) | 0.0086 |
| Downside Deviation (0%) | 0.0086 |
| Maximum Drawdown | 0.4581 |
| Historical VaR (95%) | -0.0173 |
| Historical ES (95%) | -0.0288 |
| Modified VaR (95%) | -0.0155 |
| Modified ES (95%) | -0.0155 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-22 | 2009-03-09 | 2014-02-20 | -0.4581 | 1697 | 453 | 1244 |
| 2020-02-19 | 2020-03-23 | NA | -0.3600 | 275 | 24 | NA |
| 2017-12-01 | 2018-02-08 | 2018-11-12 | -0.1749 | 239 | 47 | 192 |
| 2015-01-30 | 2015-09-04 | 2016-03-09 | -0.1636 | 273 | 150 | 123 |
| 2016-07-07 | 2016-11-10 | 2017-05-25 | -0.1326 | 224 | 90 | 134 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.8 | 0.8 | -0.4 | -1.5 |
| 2006 | 0.4 | 0.2 | -0.7 | -0.6 | 1.9 | 0.7 | 0.8 | 0.2 | -1.3 | 0 | 0.1 | -0.7 | 1 |
| 2007 | 0.7 | 0.5 | -0.5 | 1.4 | -0.1 | 0.1 | 2.2 | 0.1 | 1.6 | -1.9 | -0.5 | -0.5 | 3.2 |
| 2008 | 1.4 | -3 | 2.5 | 1.2 | 0.2 | 0.5 | -0.7 | -1.4 | 0.6 | -1 | -6.4 | 1.7 | -4.8 |
| 2009 | -2 | -1.4 | -0.2 | 1.8 | 3.4 | 1.7 | -1 | -0.7 | -1.3 | -1.9 | 1.7 | -1.7 | -1.8 |
| 2010 | 0.8 | 1.3 | 1.1 | -0.3 | -2.3 | -0.5 | -0.7 | 2 | 0.9 | -1.2 | 1.5 | -0.4 | 2 |
| 2011 | 1 | -0.9 | 0.7 | 0.4 | -1.3 | 1.4 | 0.5 | -0.7 | -1 | -3 | 0.1 | -0.1 | -3 |
| 2012 | 1.1 | 0.1 | 0.5 | 0.7 | -1.6 | 0.6 | 0.1 | 0.1 | -0.4 | 0.3 | 0.8 | 1.2 | 3.5 |
| 2013 | 1.2 | 0 | -0.3 | -0.9 | -0.5 | -0.9 | 0.3 | -0.5 | 0.9 | -0.1 | 0.3 | 0.4 | 0.1 |
| 2014 | 0.1 | 0.9 | -0.3 | 0.2 | 0.1 | -0.4 | -0.1 | 0.7 | 0.2 | 0.3 | -0.2 | -1.1 | 0.3 |
| 2015 | -1.3 | 0.2 | 0.3 | 0.1 | 0.1 | 0 | 1.2 | -1.7 | -1.2 | 1.4 | 0.2 | -0.8 | -1.8 |
| 2016 | 0.8 | -0.4 | 0.4 | 0.7 | 0.5 | -0.2 | 0 | -0.4 | -0.6 | -1.9 | -1.2 | -0.5 | -2.9 |
| 2017 | -1.6 | 0.1 | 0.5 | -0.5 | 0.7 | 0.1 | 0.8 | -0.1 | -0.7 | -0.6 | -0.3 | 0.6 | -0.9 |
| 2018 | -1.4 | -0.6 | 0.4 | -0.2 | -1.3 | 0.2 | -1.3 | -0.3 | -0.4 | 0 | 1.5 | 0.9 | -2.5 |
| 2019 | -1 | 0.4 | -0.8 | -0.9 | 0.7 | -0.2 | 0.8 | 0.3 | -0.4 | 0 | -0.3 | 0.3 | -1 |
| 2020 | -0.3 | -4.6 | -5.8 | -2.9 | 0.2 | 1.8 | 0.1 | -1.6 | 0.4 | -0.9 | 0.6 | 1.5 | -11.1 |
| 2021 | 0.7 | 1.6 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-10-26 15.4 SPY 119. -0.00290 -0.0034 -0.0179 -0.0417 0.0575 0.323 -0.143 GLD 46.9 -0.0028 0.0127
2 2005-10-27 15.3 SPY 118. -0.0106 0.0037 -0.0293 -0.0456 0.0431 0.318 -0.156 GLD 47.2 0.0053 0.0261
3 2005-10-28 15.5 SPY 120. 0.0144 0.0141 -0.0233 -0.0311 0.0583 0.353 -0.148 GLD 47.2 0.0008 0.015
4 2005-10-31 15.7 SPY 120. 0.0028 0.0014 -0.0237 -0.0342 0.0583 0.343 -0.139 GLD 46.4 -0.0174 0.0002
5 2005-11-01 15.4 SPY 120. 0.003 0.0064 -0.0172 -0.0339 0.0611 0.361 -0.116 GLD 45.7 -0.0144 -0.0283
6 2005-11-02 15.4 SPY 122. 0.0105 0.0199 0.0044 -0.0159 0.0589 0.349 -0.109 GLD 46.1 0.0087 -0.017
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>